 Climate risk perception and oil financialization in China: Evidence from a time-varying Granger modelXiaohang Ren, Chenjia Fu and Yi Jin Research in International Business and Finance, 2025, vol. 74, issue C Abstract: Financialization has introduced a new dimension to the oil market by incorporating various financial instruments and market participants. This study thus firstly measures the oil financialization by using daily data on Shanghai crude oil futures and Shanghai composite index. The results identify a lower level of oil financialization in China, implying that the oil market is independent on the stock market. Moreover, the exogenous events volatile the degree of oil financialization. We then estimate the impact of climate risk perception on oil financialization using a time-varying Granger model. Novel evidence finds negative and significant time-varying coefficients of climate risk perception on oil financialization, indicating that the effect of climate risk perception is non-constant over time. The empirical results reinforce the implications of the bounded rationality decision and signal theory. Keywords: Climate risk perception; Oil financialization; Shanghai crude oil futures; Time-varying Granger model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004550 DOI: 10.1016/j.ribaf.2024.102662 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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